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Derivatives Pricing and Modeling
Jonathan Batten
€ 165.87
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Description for Derivatives Pricing and Modeling
Hardback. Highlights research in derivatives modelling and markets in a post-crisis world across a number of dimensions or themes. This book addresses the following main areas: derivatives models and pricing, model application and performance backtesting, and new products and market features. Editor(s): Batten, Jonathan; Wagner, Niklas. Series Editor(s): Thornton, Robert; Aronson, J. Richard. Series: Contemporary Studies in Economic & Financial Analysis. Num Pages: 450 pages, Illustrations. BIC Classification: KCX; KFCR. Category: (P) Professional & Vocational. Dimension: 234 x 156 x 38. Weight in Grams: 771.
This edited volume will highlight recent research in derivatives modelling and markets in a post-crisis world across a number of dimensions or themes. The book addresses the following main areas: derivatives models and pricing, model application and performance backtesting, new products and market features. Particular themes encompass: - continuous and discrete time modeling, - statistical arbitrage models, - arbitrage-free pricing, risk-neutral implied densities, - equilibrium pricing approaches (including e.g. co-integration), - applications of methods in computational statistics including simulation, - computationally intense techniques for pricing, estimation and backtesting, - complex derivative products, - credit and counterparty risk, - innovative ... Read more
This edited volume will highlight recent research in derivatives modelling and markets in a post-crisis world across a number of dimensions or themes. The book addresses the following main areas: derivatives models and pricing, model application and performance backtesting, new products and market features. Particular themes encompass: - continuous and discrete time modeling, - statistical arbitrage models, - arbitrage-free pricing, risk-neutral implied densities, - equilibrium pricing approaches (including e.g. co-integration), - applications of methods in computational statistics including simulation, - computationally intense techniques for pricing, estimation and backtesting, - complex derivative products, - credit and counterparty risk, - innovative ... Read more
Product Details
Format
Hardback
Publication date
2012
Publisher
Emerald Publishing Limited United Kingdom
Number of pages
450
Condition
New
Series
Contemporary Studies in Economic & Financial Analysis
Number of Pages
450
Place of Publication
Bingley, United Kingdom
ISBN
9781780526164
SKU
V9781780526164
Shipping Time
Usually ships in 7 to 11 working days
Ref
99-50
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